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3 Sep 2013


(1) Spectrum-DL uses a risk budget driven procedure to gain dynamic exposure to the underlying basket, Spectrum Index. The effective exposure varies up to a maximum limit set to 300%. The objective is to offer significant outperformance to the underlying index at a maximum drawdown risk of -15%.

Fear and uncertainty returned in August causing US equities and government bonds to sell off as well as USD to strengthen against most currencies which resulted in a negative month for the two asset allocation strategies. Spectrum returned -1.03% and Spectrum-DL -3.07% as compared to the S&P500 which returned -3.1%.
Despite short-term equity risk increasing from July to August the current level remains below longer term averages which has allowed the dynamic leverage model to maintain close to maximum exposure to the underlying Spectrum strategy reducing only slightly from 300% in August to 280% for September.
  • Equity allocation remains unchanged at 27% with sector allocation the same in Industrials, Cyclicals, Healthcare and Financials
  • Commodity allocation remains at zero
  • FX exposure remains at 9% with positions remaining in CHF,  NZD and EUR
  • Fixed Income exposure remains at 62% in 2YR US Treasuries  plus 2% in cash
  • Spectrum-DL exposure to Spectrum reduces from 300% to 280%.
Spectrum             SPECTRUM-IDX-OVERVIEW-30-AUG-2013.pdf

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DISCLAIMER: This document does not constitute an offer, a solicitation, an advice or a recommendation to purchase or sell any investment products associated with the material described herein. The purpose of this document is to describe the principles, research and ideas behind the QLAB Invest strategy indices. Prior to an investment in any product tracking a strategy index, you should make your own appraisal of the investment risks as well as from a legal, tax and accounting perspective, without relying exclusively on the information provided by QLAB Invest. Investment products tracking the indices must be issued or/and marketed by a regulated company. This document is strictly for informative purpose. The single source of the underlying asset data is Thomson Reuters Datastream and QLAB Invest cannot guarantee the correctness of the underlying asset data and cannot be held legally responsible in this regard. Any references made to historical performance up to the official live inception do not reflect actual live performance and can be subject to selection, curve fitting and other statistical biases. Performance in investment products linked to the indices may be reduced by the effect of commissions, fees or other charges in excess of those already factored into the index calculations. The level of the indices will fluctuate due to the volatility of the underlying exposures and past performance or volatility is not necessarily indicative of future results.